That's the first solution we've tried but it's not been useful, we keep on getting that error...
We also tried to install the packages of that yum command one by one leaving amavisd-new at the end but even in this case, same error...
What package is meant to build that folder?

I ran into this same problem. The answer is to install clamav and clamd from the epel repository. I had the package from the rpmforge repository installed and the amavisd installation kept failing. So you need to remove any clamav and clamd packages already on your system from other repositories.